Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Acutaas Chemicals Ltd backtest
10 trend-following strategies were compared on the full daily history of Acutaas Chemicals Ltd. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 47.1%, MDD -25.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 47.0%, drawdown -42.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 47.1%, MDD -25.4%, Sharpe 1.21, 80% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 16.7%p (CAGR 47.1%, MDD -25.4%, exposure 80%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=97, threshold=-0.09 |
47.1% | -25.4% | 1.21 | 1.85 | 7.0x | 23 | 80% |
| SMA 크로스오버 fast=46, slow=219 |
40.9% | -24.4% | 1.17 | 1.67 | 5.6x | 5 | 63% |
| Donchian 채널 돌파 entryN=100, exitN=76 |
39.1% | -32.1% | 1.16 | 1.22 | 5.3x | 3 | 59% |
| EMA 크로스오버 fast=46, slow=182 |
37.2% | -28.0% | 1.09 | 1.33 | 4.9x | 5 | 65% |
| 볼린저 밴드 돌파 n=73, k=2.9 |
19.2% | -31.5% | 0.83 | 0.61 | 2.4x | 10 | 35% |
| ADX / DI 방향성 period=29, threshold=19 |
17.7% | -28.0% | 0.80 | 0.63 | 2.3x | 18 | 31% |
| Supertrend period=29, mult=4.7 |
19.9% | -62.5% | 0.68 | 0.32 | 2.5x | 11 | 71% |
| MACD fast=8, slow=51, signal=18 |
9.9% | -47.5% | 0.48 | 0.21 | 1.6x | 68 | 49% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=19, mult=2.1 |
6.5% | -38.7% | 0.37 | 0.17 | 1.4x | 26 | 40% |
| Parabolic SAR step=0.04, maxStep=0.38 |
1.0% | -42.8% | 0.19 | 0.02 | 1.1x | 154 | 53% |
| Buy and hold | 47.0% | -42.1% | 1.09 | 1.12 | 7.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 97-day return is greater than -9%
- Sell — Sell when the 97-day return drops to -9% or below